NMAK19005U Advances in Life Insurance Mathematics
MSc Programme in Actuarial Mathematics
Selection of topics related to modeling, valuation, and pricing in multi-state life insurance and pensions with a strong connection to the research of the present century. Topics may include but are not limited to: cashflows, policyholder behavior, estimation, market consistent valuation, projection and computation of bonus, higher order moments, implementation of procedures in R.
At the end of the course the student is expected to have:
Knowledge about selected topics related to modeling, valuation, and pricing in the Markov life insurance setup.
Skills to formulate, formalize, and solve theoretical and practical problems related to modeling, valuation, and pricing in the Markov life insurance setup.
Skills to implement procedures related to modeling, valuation, and pricing in the Markov life insurance setup in R.
The course will strengthen the student's competences in navigating inside the Markov life insurance setup and develop the student's ability to formulate and handle new models inside this setup.
The course literature will primarily consist of research papers from primarily actuarial journals, which will be made available on Absalon.
Academic qualifications equivalent to a BSc degree is recommended.
The student is also recommended to have prior experience in programming using the language R, e.g. obtained through the bachelor programme in Actuarial Mathematics from the University of Copenhagen.
- Theory exercises
The students will recieve either oral or written feedback in connection with their two mandatory homework sets.
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutesWithout preparation.
- Exam registration requirements
To participate in the exam, two mandatory homework sets must be approved.
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners.
The same as the ordinary exam. If the required homework sets are not approved before the ordinary exam, the non-approved set(s) must be handed in no later than three weeks before the beginning of the re-exam week.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.